Volatility in the Crosshairs: Aligning Volatility and Strategies Part 2

  • 25 Oct 2019
  • By Dave Lerman

Repeating what we said earlier, “buy low/ sell high” pertains to an option’s implied volatility too.  The crux of these tables is to help the trader to buy in the lower percentile rankings and sell options premium in higher percentile environments.  Volatility percentile rankings can help the trader align the correct strategy for the correct volatility environment.

In the pages that follow, we have provided the volatility percentile rankings for many of the CME Group’s core products.  The data is recent and ends with the three-year period ending October 16, 2019.

Figure 3

Equity Implied Volatlity Percentile Rankings--3 yrs ending 10/16/19
  ES NQ R2K YM
High 31.64 35.46 34.32 31.86
90th percentile 17.29 22.89 21.44 18.15
75th percentile 13.79 18.34 18.1 14.75
50th percentile 10.56 15.01 14.78 11.3
25th percentile 8.81 12.79 12.76 9.3
10th percentile 7.59 11.2 11.69 8.28
Low  6.5 8.73 7.62 6.75

Figure 4

Interest Rate Implied Volatlity Percentile Rankings --3 yrs ending 10/16/19
  US TY FV ED
High 13.69 6.81 4.22 81.65
90th percentile 10.07 5.17 3.43 51.11
75th percentile 8.65 4.55 3 34.61
50th percentile 7.48 3.94 2.51 27.3
25th percentile 6.87 3.57 2.24 22.08
10th percentile 6.28 3.36 2.19 18.02
Low  5.46 2.99 1.91 8.78

Figure 5

Currency Implied Volatility Percentile Rankings 3 yrs ending 10/16/19
  EUR JPY GBP CD AUD
High 14.43 14.56 15.18 10.15 11.48
90th percentile 9.03 11.14 11.43 8.38 9.61
75th percentile 7.94 9.01 10.01 7.71 9
50th percentile 7.08 7.66 8.46 7.05 8.31
25th percentile 5.99 6.64 7.47 6.27 7.6
10th percentile 5.41 6.08 6.79 5.38 7.13
Low  4.47 4.6 5.27 4.67 5.8

Figure 6

Commodity implied Volatility Percentile rankings 3 yrs ending 10/1/19
  Cl NG Gold SI C SB LC
High 64.74 125.07 19.31 29.84 43.04 28.04 31.85
90th percentile 38.41 53.07 14.02 23.1 29.12 21.48 22.94
75th percentile 31.08 43.15 12.11 19.55 21.73 18.32 21.17
50th percentile 29.9 35.14 10.12 17.32 18.24 16.36 18.43
25th percentile 24.35 24.31 9.2 16.16 15.29 14.28 15.49
10th percentile 22.63 21.49 8.64 14.53 13.17 12.09 13.5
Low  15.74 19.17 7.49 12.89 9.82 9.77 10.86

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